Variance Reduction Methods for Simulation of Densities on Wiener Space

DOI10.1137/S0036142901385507zbMath1019.60055OpenAlexW1980932137MaRDI QIDQ4787273

Roger Pettersson, Arturo Kohatsu-Higa

Publication date: 5 January 2003

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036142901385507

zbMATH Keywords

Malliavin calculusstochastic differential equationsvariance reductionkernel density estimationweak approximations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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